We've already discussed a lo-tech but surprisingly effective attack on ATM users here and elsewhere. However, Brian Krebs has recently posted on more conventional skimming attacks: Green Skimmers Skimming Green. An interesting and useful comment thread too. However, in view of the mentions there of chip and pin technology, it's worth pointing out that while

Zeus-associated malware (and that includes SpyEye and “SpyZeuS”) isn’t supernaturally difficult to detect. It is, however, pretty adaptive and has introduced, from time to time, some innovative counter-detection techniques.